Concepedia

Forward Rate Modeling

Forward Rate Modeling is a mathematical framework within interest rate modeling that specifically characterizes the evolution of future interest rates implied by current term structures, distinguished from related models by its focus on the dynamics of forward rates as fundamental primitives of the yield curve.

136

Publications

11.5K

Citations

197

Authors

141

Institutions

Publications per year

2017–2026

6

Parents

Publications

136

The Information in Long-Maturity Forward Rates

Eugene F. Fama, Robert R. Bliss · American Economic Review · 1987 · 1.6K citations

, , +16

The Market Model of Interest Rate Dynamics

Alan Brace, Dariusz G ̧atarek, Marek Musiela · Mathematical Finance · 1997 · 1.2K citations

, , +17

Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates

Robert J. Shiller, John Y. Campbell, Kermit L. Schoenholtz · Brookings Papers on Economic Activity · 1983 · 442 citations · Full text

, , +15

Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994

Lars E.O. Svensson · RePEc: Research Papers in Economics · 1994 · 437 citations

, , +15

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

Don H. Kim, Jonathan H. Wright · Finance and Economics Discussion Series · 2005 · 412 citations · Full text

, , +16

1–5 of 136

Authors

197

  1. LE
    Lars E.O. Svensson

    Stockholm University, Sweden

    6 publications · 1.2K citations

    6

    h-index

  2. PR
    Peter Ritchken

    Case Western Reserve University, United States

    4 publications · 410 citations

    4

    h-index

  3. JH
    Jonathan H. Wright

    Johns Hopkins University, United States

    4 publications · 804 citations

    4

    h-index

  4. FM
    Fabio Mercurio

    Bloomberg (United States), United States

    4 publications · 216 citations

    4

    h-index

  5. LK
    Leo Krippner

    Reserve Bank of New Zealand, New Zealand

    3 publications · 84 citations

    3

    h-index

1–5 of 197

Institutions

141

  1. Federal Reserve Board of Governors

    Washington D.C., United States

    6 h-index

    8 publications

    1.3K citations

  2. Federal Reserve

    Washington D.C., United States

    5 h-index

    7 publications

    1.3K citations

  3. University of Technology Sydney

    Sydney, Australia

    4 h-index

    5 publications

    336 citations

  4. Bloomberg (United States)

    New York, United States

    4 h-index

    4 publications

    216 citations

  5. UNSW Sydney

    Sydney, Australia

    4 h-index

    5 publications

    2.6K citations

  6. National Bureau of Economic Research

    Cambridge, United States

    4 h-index

    6 publications

    1.1K citations

  7. Stockholm School of Economics

    Stockholm, Sweden

    4 h-index

    4 publications

    519 citations

  8. National University of Singapore

    Singapore, Singapore

    3 h-index

    4 publications

    124 citations

1–8 of 141

Venues

  1. SSRN Electronic Journal

    Repository · 20 publications · 1.1K citations

    16

    h-index

  2. Mathematical Finance

    11 publications · 2.6K citations

    11

    h-index

  3. The Journal of Finance

    9 publications · 543 citations

    9

    h-index

  4. International Journal of Theoretical and Applied Finance

    IJTAF · 7 publications · 273 citations

    7

    h-index

  5. The Journal of Fixed Income

    5 publications · 285 citations

    5

    h-index

1–5